Implementable algorithm for stochastic optimization using sample average approximations

DOI10.1023/B:JOTA.0000041734.06199.71zbMath1129.90334OpenAlexW2055661359MaRDI QIDQ852151

Johannes O. Royset, Elijah Polak

Publication date: 27 November 2006

Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1023/b:jota.0000041734.06199.71

zbMATH Keywords

stochastic optimizationMonte Carlo simulationssample average approximationsreliability-based optimal designs

Mathematics Subject Classification ID

Stochastic programming (90C15) Numerical methods for mathematical programming, optimization and variational techniques (65K99)

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Uses Software

• Matlab
• Optimization Toolbox

Cites Work

• A simulation-based approach to two-stage stochastic programming with recourse
• Monte Carlo bounding techniques for determinig solution quality in stochastic programs
• Optimization. Algorithms and consistent approximations
• Solving stochastic structural optimization problems by RSM-based stochastic approximation methods -- gradient estimation in case of intermediate variables
• Stochastic Decomposition: An Algorithm for Two-Stage Linear Programs with Recourse
• Introduction to Stochastic Programming
• Time-variant reliability-based structural optimization using sorm
• Asymptotic Theory for Solutions in Statistical Estimation and Stochastic Programming
• Convergence of stochastic processes
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